arXiv 1 Sep 2025 · Econometrics
arXiv:2509.01478 · PDF · DOI · OpenAlex · Extracted main text
We show that Poisson regression, though often recommended over log-linear regression for modeling count and other non-negative variables in finance and economics, can be far from optimal when heteroskedasticity and sparsity -- two common features of such data -- are both present. We propose a general class of moment estimators, encompassing Poisson regression, that balances the bias-variance trade-off under these conditions. A simple cross-validation procedure selects the optimal estimator. Numerical simulations and applications to corporate finance data reveal that the best choice varies substantially across settings and often departs from Poisson regression, underscoring the need for a more flexible estimation framework.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Santos Silva, J., Tenreyro, S (2006) The log of gravity | 1.000 | 14 | 6 | 100% |
| 2 | Cohn, J.B., Liu, Z., Wardlaw, M.I (2022) Count (and count-like) data in finance | 1.000 | 10 | 4 | 100% |
| 3 | Hirshleifer, D., Low, A., Teoh, S.H (2012) Are overconfident ceos better innovators? | 1.000 | 7 | 3 | 100% |
| 4 | Gourieroux, C., Monfort, A., Trognon, A (1984) Pseudo maximum likelihood methods: Theory | 1.000 | 6 | 5 | 100% |
| 5 | Santos Silva, J., Tenreyro, S (2011) Further simulation evidence on the performance of the poisson pseudo-maximum likelihood estimator | 1.000 | 5 | 3 | 100% |
| 6 | Mullahy, J (1986) Specification and testing of some modified count data models | 0.928 | 4 | 4 | 100% |
| 7 | Gourieroux, C., Monfort, A., Trognon, A (1984) Pseudo maximum likelihood methods: Applications to poisson models | 0.928 | 4 | 3 | 100% |
| 8 | Lambert, D (1992) Zero-inflated poisson regression, with an application to defects in manufacturing | 0.928 | 4 | 3 | 100% |
| 9 | Park, R.E (1966) Estimation with heteroscedastic error terms | 0.843 | 3 | 3 | 100% |
| 10 | Bekkerman, R., Cohen, M.C., Kung, E., Maiden, J., Proserpio, D (2023) The effect of short-term rentals on residential investment | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 55 scored citations.